Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0834
Annualized Std Dev 0.2548
Annualized Sharpe (Rf=0%) 0.3272

Row

Daily Return Statistics

Close
Observations 3579.0000
NAs 1.0000
Minimum -0.1431
Quartile 1 -0.0060
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0073
Maximum 0.1351
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0010
Variance 0.0003
Stdev 0.0160
Skewness -0.2106
Kurtosis 11.8042

Downside Risk

Close
Semi Deviation 0.0116
Gain Deviation 0.0118
Loss Deviation 0.0129
Downside Deviation (MAR=210%) 0.0159
Downside Deviation (Rf=0%) 0.0114
Downside Deviation (0%) 0.0114
Maximum Drawdown 0.6881
Historical VaR (95%) -0.0233
Historical ES (95%) -0.0386
Modified VaR (95%) -0.0231
Modified ES (95%) -0.0332
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2011-07-07 -0.6881 1007 426 581
2020-01-21 2020-03-23 2020-11-09 -0.4845 205 44 161
2011-07-08 2011-10-04 2012-02-03 -0.2267 141 61 80
2018-09-21 2018-12-24 2019-04-16 -0.2171 142 65 77
2015-07-17 2016-02-11 2016-12-07 -0.1937 353 145 208

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA -0.2 -0.4 -0.6
2007 0.9 -0.6 0.3 0.5 0.7 -0.6 0 2 1.4 -2.8 0.9 0.5 3.2
2008 1.7 -3.3 4.9 2.8 0 -1.5 -0.8 -1 -0.5 5.2 -5.1 3.5 5.6
2009 -4.3 -2.4 1.3 -0.7 6.1 -0.1 0 -2.2 -2.8 -2.8 2.1 0 -6.2
2010 1.1 1.7 0.6 -2.4 -0.9 0.7 0.3 3.8 -0.2 -0.5 2 -0.2 5.9
2011 0.9 -1.3 0.7 0 -1.9 2.4 -1.1 -0.2 -2.8 -1.6 0.1 -0.1 -5
2012 1.4 0.6 0.7 1.5 -3.5 3.3 -0.8 0.2 0.2 1.9 -0.1 1.7 7.2
2013 0.1 0.1 -0.8 -0.5 -0.9 0.9 1 -1.2 0.6 0.2 0.1 -0.1 -0.4
2014 -0.7 0.5 1.4 0.3 0.1 1 -0.2 -0.2 -1.2 0.9 -1.2 -0.2 0.4
2015 -1.6 -0.1 -0.7 1.7 0.4 1.1 0.4 -2.5 0.2 0.7 0.7 -0.8 -0.5
2016 1.1 2.3 0.2 -0.4 0.1 1 -0.3 0 0.8 -1 0.1 -0.7 3.1
2017 -0.7 0.9 0.1 -0.3 1.6 0.7 0 0.9 0.4 0.2 0 -0.4 3.4
2018 -0.7 -2 1.6 -1.4 0.9 -0.1 -1.3 0.4 0 1.6 0 0.8 -0.3
2019 0 0.8 1.2 -0.9 -1.6 0.5 -3 -0.5 -1.1 1.3 -0.7 0.2 -3.8
2020 -2.1 -0.9 -6.4 -4.5 2.1 -0.6 -1.4 0.9 1.2 -1.3 1 -0.3 -11.8
2021 1.2 1.7 0.6 NA NA NA NA NA NA NA NA NA 3.5

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart